Lutkepohl, Helmut; Terasvirta, Timo; Wolters, Jurgen - In: Journal of Applied Econometrics 14 (1999) 5, pp. 511-25
Starting from a linear error correction model (ECM) the stability and linearity of a German M1 money demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted quarterly data from 1961(1) to 1990(2) it is found that the money demand equation...